Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
From MaRDI portal
Publication:486932
DOI10.1007/s00780-014-0248-5zbMath1309.91134arXiv1107.5852OpenAlexW2114841244MaRDI QIDQ486932
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.5852
Related Items (25)
Optimal consumption of multiple goods in incomplete markets ⋮ Informational Efficiency under Short Sale Constraints ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ Duality for optimal consumption with randomly terminating income ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Financial Markets in the Context of the General Theory of Optional Processes ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ An expansion in the model space in the context of utility maximization ⋮ Informational Efficiency with Trading Constraints: A Characterization ⋮ Existence of an endogenously complete equilibrium driven by a diffusion ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Concavity, stochastic utility, and risk aversion ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK ⋮ Stability of the Indirect Utility Process ⋮ Duality for optimal consumption under no unbounded profit with bounded risk
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- A short proof of the Doob-Meyer theorem
- A variational problem arising in financial economics
- Optimal investment decisions when time-horizon is uncertain
- Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
- New proofs of a theorem of Komlós
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Optional decompositions under constraints
- A complete explicit solution to the log-optimal portfolio problem.
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Utility maximization with a stochastic clock and an unbounded random endowment
- Wealth-path dependent utility maximization in incomplete markets
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Asymptotics of robust utility maximization
- The numéraire portfolio in semimartingale financial models
- Robust utility maximization for complete and incomplete markets
- Robust utility maximization with unbounded random endowment
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimization Problems in the Theory of Continuous Trading
- Robust optimization of consumption with random endowment
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case1
- Duality theory for optimal investments under model uncertainty
- Convex Analysis
- A generalization of a problem of Steinhaus
- Optimal consumption strategies under model uncertainty
This page was built for publication: Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption